Ítem
Acceso Abierto

Cointegration vector estimation by dols for a three-dimensional panel

Mostrar el registro sencillo de la publicación
dc.creatorMelo-Velandia L.F.spa
dc.creatorLeón J.J.spa
dc.creatorSaboyá D.spa
dc.date.accessioned2020-05-25T23:59:15Z
dc.date.available2020-05-25T23:59:15Z
dc.date.created2015spa
dc.description.abstractThis paper extends the results of the dynamic ordinary least squares cointegration vector estimator available in the literature to a three-dimensional panel. We use a balanced panel of N and M lengths observed over T periods. The cointegration vector is homogeneous across individuals but we allow for individual heterogeneity using different short-run dynamics, individual-specific fixed effects and individual-specific time trends. We also model cross-sectional dependence using time-specific effects. The estimator has a Gaussian sequential limit distribution that is obtained by first letting T ? ? and then letting N ? ?, M ? ?. The Monte Carlo simulations show evidence that the finite sample properties of the estimator are closely related to the asymptotic ones. © 2015 Revista Colombiana de Estadística All rights received.eng
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.15446/rce.v38n1.48801
dc.identifier.issn1201751
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/23013
dc.language.isoengspa
dc.publisherUniversidad Nacional de Colombiaspa
dc.relation.citationEndPage73
dc.relation.citationIssueNo. 1
dc.relation.citationStartPage45
dc.relation.citationTitleRevista Colombiana de Estadistica
dc.relation.citationVolumeVol. 38
dc.relation.ispartofRevista Colombiana de Estadistica, ISSN:1201751, Vol.38, No.1 (2015); pp. 45-73spa
dc.relation.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84923246414&doi=10.15446%2frce.v38n1.48801&partnerID=40&md5=aaaccbbec989d95e42ccb4af4d6a59a9spa
dc.rights.accesRightsinfo:eu-repo/semantics/openAccess
dc.rights.accesoAbierto (Texto Completo)spa
dc.source.instnameinstname:Universidad del Rosariospa
dc.source.reponamereponame:Repositorio Institucional EdocURspa
dc.subject.keywordCointegrationspa
dc.subject.keywordMultidimensionalspa
dc.subject.keywordPanel dataspa
dc.titleCointegration vector estimation by dols for a three-dimensional panelspa
dc.title.TranslatedTitleEstimación de un modelo de cointegración utilizando DOLS para un panel de tres dimensionesspa
dc.typearticleeng
dc.type.hasVersioninfo:eu-repo/semantics/publishedVersion
dc.type.spaArtículospa
Archivos
Bloque original
Mostrando1 - 1 de 1
Miniatura
Nombre:
48801-240496-1-PB.pdf
Tamaño:
741.32 KB
Formato:
Adobe Portable Document Format
Descripción:
Descargar
Colecciones
Artículos